| 含信用风险的与股票相关的欧式汇率买入期权定价 |
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| 引用本文： | 许丽莉,王海叶.含信用风险的与股票相关的欧式汇率买入期权定价[J].宝鸡文理学院学报(自然科学版),2012,32(3):10-14. |
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| 作者姓名： | 许丽莉 王海叶 |
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| 作者单位： | 宁德师范学院数学系,福建宁德,352100;宁德师范学院数学系,福建宁德,352100 |
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| 摘 要： | 目的研究含信用风险的与股票相关的欧式汇率买入期权定价。方法运用违约风险的结构模型,采用等价鞅测度变换的方法。结果基于St,Ft,Vt都遵循几何Brown运动的假设,推导了含信用风险的与股票相关的欧式汇率买入期权的定价公式。结论应用所求定价公式可以确定在违约风险情况下的与股票相关的欧式汇率买入期权的定价问题。
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| 关 键 词： | 信用风险 汇率 结构方法 期权定价 |
The pricing formula for European exchange rate call option related to stock with default risk |
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| XU Li-li
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WANG Hai-ye.The pricing formula for European exchange rate call option related to stock with default risk[J].Journal of Baoji College of Arts and Science(Natural Science Edition),2012,32(3):10-14. |
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| Authors: | XU Li-li WANG Hai-ye |
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| Institution: | (Department of Mathematics,Ningde Teachers’ College,Ningde 352100,Fujian,China) |
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| Abstract: | Aim To research into the pricing formula for European exchange rate call option related to stock with default risk.Methods The structural approach for credit default risk model and the equivalent martingale measure transformation method are adopted to investigate the foresaid aim.Results Based upon the hypothesis that St,Ft,Vt obey geometric Brown motion,the pricing formula of European exchange rate call option related to stock with default risk is deduced.Conclusion The pricing problem of European exchange rate call option related with stock at default risk can be determined by applying that pricing formula. |
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| Keywords: | credit risk exchange rate structural approach option pricing |
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